Importance sampling for Kolmogorov backward equations (Q1621680)
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scientific article; zbMATH DE number 6976003
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling for Kolmogorov backward equations |
scientific article; zbMATH DE number 6976003 |
Statements
Importance sampling for Kolmogorov backward equations (English)
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9 November 2018
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transport equation
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Feynman-Kac formula
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Monte Carlo method
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drift correction
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stochastic differential equations
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likelihood functions
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option pricing
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